Exchange is making changes to a monthly auction that determines final prices of futures tied to the index

Cboe Global Markets Inc. is revamping a controversial feature of one of its most-lucrative products: the Cboe Volatility Index, or VIX—also known on Wall Street as the “fear gauge.”

Cboe is making changes to a monthly auction that determines final prices of futures tied to the VIX. While the changes amount to tweaks to its architecture, they also mark a step by the exchange operator to improve a product that has come under intense scrutiny due to manipulation allegations.